Trend vwap_cross

VWAP Cross

Anchored Volume-Weighted Average Price cross. Bullish: close crosses above VWAP from below. Bearish: close crosses below VWAP from above. Uses rolling N-day anchored VWAP (typical price × volume / volume).

Signal family

Trend — Signals that fire when price is continuing or reversing an established directional move. Momentum-following by nature.

Parameters

Name Description Default Range
period VWAP anchor window (days) 20 5–100

Historical context

784,978 valid triggers on 3,640 distinct tickers between 2015-02-23 and 2026-04-22. Universe: us_only · mcap ≥ $100,000,000 · price ≥ $1 (3,640 tickers). Entry at open T+1. 1d = intraday T+1; 20d = open T+1 to close T+20.

Benchmarks: spxew (S&P 500 Equal Weight — the primary benchmark here; a median-stock view that avoids the 2020+ megacap-concentration distortion), spx (S&P 500, cap-weighted), and msci (MSCI World USD). Per-stock regime: trending = ADX(14) ≥ 25, high vol = 20d ann. vol ≥ 20%.

At a glance (20d alpha vs S&P 500 Equal Weight, US-only)

Bullish
+0.03%
vs random-date null: worse than random (pperm=1.000)
Bearish (negative alpha = signal right)
+0.05%
vs random-date null: beats random (pperm=0.005)

Reading this: the random-date null is: for each ticker, sample N random dates and compute the same alpha — what alpha does a signal with no information produce? If the signal's observed alpha beats the null (pperm≤0.05), it's adding real information. If it's inside or worse than the null, the signal doesn't add value over random firing — any observed alpha is either noise or a universe artifact.

How often does VWAP_CROSS fire in each regime?

The signal's bucket distribution is itself informative. If 50%+ of all VWAP_CROSS triggers fire in the "non-trending + high vol" quadrant, the signal is structurally a chop-market event — regardless of what its textbook definition claims. Bullish and bearish are shown separately; counts are across the full US-only sample after the mcap and price floor.

VWAP Cross (vwap_cross) — trigger count distribution by per-stock regime quadrant (trending/non-trending × high/low realized volatility) for , US-only universe

Per-stock regime quadrant — 20d alpha

Each trigger is tagged with the host stock's own technical regime on the trigger date: is the stock itself in a trend (ADX(14) ≥ 25) or ranging? And is its realized 20-day volatility high (≥ 20% annualized) or low? This is the textbook conditioning variable — "does this signal work better in trending stocks?" — answered at the level of the individual stock, not the market. Positive bars are good for the signal; negative bars mean alpha vanishes into the benchmark or worse.

VWAP Cross (vwap_cross) — mean 20-day alpha versus S&P 500 Equal Weight by per-stock regime quadrant, side by side
Trending + Low vol
Stock in a clean directional move with low realized volatility. Textbook "trend-following paradise" — smooth grind with little whipsaw risk.
Trending + High vol
Violent directional moves — parabolic rallies, crisis selloffs. Trend exists but the path is noisy. Signal timing may be imprecise.
Non-trending + Low vol
Quiet chop, summer doldrums, consolidations. No directional bias but also no big swings — small edges become reliable if they exist at all.
Non-trending + High vol
Choppy and violent — the classical "whipsaw zone" for momentum signals. Crossovers and breakouts fire repeatedly without follow-through.

Sub-period check — does the signal work in every era?

A multi-year average can hide major instability. We split the sample into three non-overlapping windows: 2015–2019 (pre-COVID, normalized monetary policy), 2020–2022 (pandemic crash + recovery + rate-shock bear), and 2023+ (post-ZIRP, AI megacap rally). If a signal's alpha is positive overall but comes entirely from one era, that's a red flag — the conditions that produced it may not repeat. A robust signal shows a consistent sign across all non-empty buckets.

VWAP Cross (vwap_cross) — 20-day alpha split by historical sub-period (2015-2019, 2020-2022, 2023+) to check consistency across market regimes

↑ Bullish triggers

Bench Metric 1d 5d 20d 60d 252d
spx Stock % -0.02% +0.14% +0.92% +2.60% +11.63%
Bench % +0.01% +0.25% +1.07% +3.00% +13.23%
Alpha % -0.03% -0.10% -0.11% -0.38% -1.60%
Median alpha -0.06% -0.27% -0.67% -1.85% -8.36%
Hit rate (α>0) 48.2% 47.0% 46.5% 44.8% 39.7%
p (naive) <0.001 <0.001 <0.001 <0.001 <0.001
p (HAC) <0.001 <0.001 <0.001 <0.001 <0.001
N 392,979 392,186 387,970 381,226 343,370
msci Stock % -0.02% +0.14% +0.92% +2.60% +11.63%
Bench % +0.08% +0.29% +1.00% +2.63% +10.97%
Alpha % -0.09% -0.14% -0.02% +0.02% +0.64%
Median alpha -0.13% -0.31% -0.59% -1.44% -6.00%
Hit rate (α>0) 46.6% 46.5% 46.9% 45.9% 42.6%
p (naive) <0.001 <0.001 0.2031 0.5932 <0.001
p (HAC) <0.001 <0.001 0.3760 0.7934 0.0368
N 391,580 389,574 385,185 379,210 341,372
spxew Stock % -0.02% +0.14% +0.92% +2.60% +11.63%
Bench % +0.03% +0.22% +0.96% +2.39% +9.93%
Alpha % -0.06% -0.07% +0.03% +0.25% +1.88%
Median alpha -0.08% -0.21% -0.48% -1.18% -4.97%
Hit rate (α>0) 47.7% 47.6% 47.4% 46.6% 43.5%
p (naive) <0.001 <0.001 0.1503 <0.001 <0.001
p (HAC) <0.001 <0.001 0.3191 0.0003 <0.001
N 391,328 389,103 384,688 378,154 340,183
Distribution of all 20d alpha outcomes for this direction. Median and winsorized mean shown.
VWAP Cross (vwap_cross) — bullish 20-day alpha histogram showing distribution of per-trigger returns
Observed 20d alpha (vertical line) against the null distribution of random-date firing. If the line is deep inside the null cloud, the signal adds no information. If it sits in a tail, the signal is doing real work in that direction.
VWAP Cross (vwap_cross) — bullish 20-day observed alpha versus random-date permutation null (200 iterations)
Permutation null detail — all horizons × both benchmarks
200-iteration null: for each ticker, sample N random dates from its history (matching observed trigger count) and compute the same alpha. The null distribution's 95% CI is where a signal with no information would land. pperm = one-sided fraction of null iters with mean ≥ observed.
Horizon Bench Observed α Null mean Null 95% CI pperm
1d spx -0.03% -0.01% [-0.02%, +0.01%] 0.995
1d msci -0.09% -0.03% [-0.05%, -0.02%] 1.000
1d spxew -0.06% -0.03% [-0.05%, -0.02%] 1.000
5d spx -0.10% +0.11% [-0.00%, +0.37%] 1.000
5d msci -0.14% +0.12% [+0.00%, +0.38%] 1.000
5d spxew -0.07% +0.14% [+0.02%, +0.40%] 1.000
20d spx -0.11% +0.22% [+0.07%, +0.49%] 1.000
20d msci -0.02% +0.34% [+0.20%, +0.61%] 1.000
20d spxew +0.03% +0.41% [+0.27%, +0.68%] 1.000
60d spx -0.38% +0.45% [+0.24%, +0.77%] 1.000
60d msci +0.02% +0.90% [+0.68%, +1.22%] 1.000
60d spxew +0.25% +1.12% [+0.92%, +1.44%] 1.000
252d spx -1.60% +1.12% [+0.81%, +1.56%] 1.000
252d msci +0.64% +3.44% [+3.12%, +3.89%] 1.000
252d spxew +1.88% +4.79% [+4.49%, +5.23%] 1.000

Example triggers on US large-caps (2023+, mcap ≥ $30B)

Six recent bullish VWAP_CROSS triggers on US mega-caps, filtered to |alpha| ≤ 25% to exclude catalyst-driven outliers (earnings surprises, M&A, binary events). The first three are the strongest outcomes — what the signal looks like when it works. The last three are the weakest — what the signal looks like when it fails. Each chart shows the stock's price with signal-appropriate technical overlays (e.g. MACD subpanel on MACD pages, Bollinger Bands on Bollinger pages, the 52-week trailing max line on 52w-high pages), a dot marking the trigger date, and the forward window shaded (green when the signal was right, red when it wasn't). Click any chart to open full-size.

Strongest outcomes (what VWAP_CROSS looks like when it works)
VWAP Cross (vwap_cross) — strongest bullish trigger #1 on a US mega-cap, showing the stock's OHLC candles, moving averages, signal-specific overlays, and the 20-day forward window VWAP Cross (vwap_cross) — strongest bullish trigger #2 on a US mega-cap, showing the stock's OHLC candles, moving averages, signal-specific overlays, and the 20-day forward window VWAP Cross (vwap_cross) — strongest bullish trigger #3 on a US mega-cap, showing the stock's OHLC candles, moving averages, signal-specific overlays, and the 20-day forward window
Weakest outcomes (what VWAP_CROSS looks like when it fails)
VWAP Cross (vwap_cross) — weakest bullish trigger #1 on a US mega-cap, showing the 20-day forward window where the signal failed VWAP Cross (vwap_cross) — weakest bullish trigger #2 on a US mega-cap, showing the 20-day forward window where the signal failed VWAP Cross (vwap_cross) — weakest bullish trigger #3 on a US mega-cap, showing the 20-day forward window where the signal failed
Stock-regime quadrants (2×2 per-stock, 20d alpha detail table)
Each quadrant groups triggers by the stock's own ADX(14) and RV(20) at the trigger date — the textbook conditioning variable (not market-level). Stock %, bench %, alpha %, and HAC p-value shown for each benchmark.
Quadrant N Stock % (spx) Bench % (spx) Alpha % (spx) p (HAC) Stock % (msci) Bench % (msci) Alpha % (msci) p (HAC) Stock % (spxew) Bench % (spxew) Alpha % (spxew) p (HAC)
Trending + Low vol Clean directional grind, low whipsaw 20,365 +0.44% +0.71% -0.25% <0.001 +0.44% +0.56% -0.09% 0.0719 +0.44% +0.46% +0.04% 0.4101
Trending + High vol Crisis selloff or parabolic rally 95,626 +0.88% +1.21% -0.29% <0.001 +0.88% +1.13% -0.19% 0.0012 +0.88% +1.10% -0.15% 0.0101
Non-trending + Low vol Quiet chop, summer doldrums 49,299 +0.37% +0.75% -0.35% <0.001 +0.37% +0.58% -0.18% <0.001 +0.37% +0.47% -0.05% 0.1312
Non-trending + High vol Classical "whipsaw zone" for momentum 227,867 +1.15% +1.11% +0.07% 0.0562 +1.15% +1.08% +0.12% 0.0013 +1.15% +1.05% +0.15% <0.001
Sub-period breakdown table (20d alpha)
Historical clustering check. If alpha concentrates in one era, the signal's robustness is questionable.
Period N Alpha % (spx) p (HAC) Alpha % (msci) p (HAC) Alpha % (spxew) p (HAC)
2015-2019 2015-01-01 → 2020-01-01 118,409 -0.23% <0.001 -0.10% 0.0113 -0.05% 0.2047
2020-2022 2020-01-01 → 2023-01-01 125,440 +0.22% <0.001 +0.32% <0.001 -0.11% 0.0366
2023-2026 2023-01-01 → 2099-01-01 149,320 -0.27% <0.001 -0.23% <0.001 +0.23% <0.001

↓ Bearish triggers negative alpha = signal was right (stock underperformed market)

Bench Metric 1d 5d 20d 60d 252d
spx Stock % -0.01% +0.24% +0.84% +2.70% +11.51%
Bench % +0.01% +0.25% +1.03% +3.04% +13.21%
Alpha % -0.02% -0.01% -0.14% -0.33% -1.71%
Median alpha -0.02% -0.14% -0.64% -1.75% -8.34%
Hit rate (α>0) 49.4% 48.4% 46.6% 45.1% 39.7%
p (naive) <0.001 0.4972 <0.001 <0.001 <0.001
p (HAC) <0.001 0.5246 <0.001 <0.001 <0.001
N 391,660 391,048 388,579 381,038 344,120
msci Stock % -0.01% +0.24% +0.84% +2.70% +11.51%
Bench % -0.00% +0.21% +0.91% +2.60% +10.85%
Alpha % -0.00% +0.05% +0.02% +0.15% +0.68%
Median alpha -0.01% -0.09% -0.48% -1.26% -5.89%
Hit rate (α>0) 49.6% 49.0% 47.4% 46.4% 42.7%
p (naive) 0.2718 <0.001 0.2000 <0.001 <0.001
p (HAC) 0.2737 <0.001 0.3755 0.0320 0.0259
N 390,551 389,273 386,398 378,653 341,455
spxew Stock % -0.01% +0.24% +0.84% +2.70% +11.51%
Bench % +0.03% +0.23% +0.90% +2.40% +9.80%
Alpha % -0.04% +0.01% +0.05% +0.33% +1.86%
Median alpha -0.03% -0.10% -0.42% -1.04% -4.90%
Hit rate (α>0) 49.1% 48.9% 47.7% 47.0% 43.5%
p (naive) <0.001 0.1071 0.0080 <0.001 <0.001
p (HAC) <0.001 0.1318 0.0678 <0.001 <0.001
N 390,140 387,879 385,247 378,387 340,631
Distribution of all 20d alpha outcomes for this direction. Median and winsorized mean shown.
VWAP Cross (vwap_cross) — bearish 20-day alpha histogram showing distribution of per-trigger returns
Observed 20d alpha (vertical line) against the null distribution of random-date firing. If the line is deep inside the null cloud, the signal adds no information. If it sits in a tail, the signal is doing real work in that direction.
VWAP Cross (vwap_cross) — bearish 20-day observed alpha versus random-date permutation null (200 iterations)
Permutation null detail — all horizons × both benchmarks
200-iteration null: for each ticker, sample N random dates from its history (matching observed trigger count) and compute the same alpha. The null distribution's 95% CI is where a signal with no information would land. pperm = one-sided fraction of null iters with mean ≥ observed.
Horizon Bench Observed α Null mean Null 95% CI pperm
1d spx -0.02% -0.00% [-0.02%, +0.20%] 0.040
1d msci -0.00% -0.03% [-0.05%, +0.18%] 0.960
1d spxew -0.04% -0.03% [-0.05%, +0.18%] 0.149
5d spx -0.01% +0.10% [+0.00%, +0.41%] 0.005
5d msci +0.05% +0.11% [+0.01%, +0.41%] 0.428
5d spxew +0.01% +0.13% [+0.03%, +0.44%] 0.005
20d spx -0.14% +0.22% [+0.08%, +0.56%] 0.005
20d msci +0.02% +0.34% [+0.20%, +0.68%] 0.005
20d spxew +0.05% +0.41% [+0.27%, +0.75%] 0.005
60d spx -0.33% +0.46% [+0.25%, +0.74%] 0.005
60d msci +0.15% +0.90% [+0.69%, +1.18%] 0.005
60d spxew +0.33% +1.13% [+0.91%, +1.41%] 0.005
252d spx -1.71% +1.12% [+0.73%, +1.65%] 0.005
252d msci +0.68% +3.44% [+3.05%, +3.98%] 0.005
252d spxew +1.86% +4.80% [+4.39%, +5.33%] 0.005

Example triggers on US large-caps (2023+, mcap ≥ $30B)

Six recent bearish VWAP_CROSS triggers on US mega-caps, filtered to |alpha| ≤ 25% to exclude catalyst-driven outliers (earnings surprises, M&A, binary events). The first three are the strongest outcomes — what the signal looks like when it works. The last three are the weakest — what the signal looks like when it fails. Each chart shows the stock's price with signal-appropriate technical overlays (e.g. MACD subpanel on MACD pages, Bollinger Bands on Bollinger pages, the 52-week trailing max line on 52w-high pages), a dot marking the trigger date, and the forward window shaded (green when the signal was right, red when it wasn't). Click any chart to open full-size.

Strongest outcomes (what VWAP_CROSS looks like when it works)
VWAP Cross (vwap_cross) — strongest bearish trigger #1 on a US mega-cap, showing the stock's OHLC candles, moving averages, signal-specific overlays, and the 20-day forward window VWAP Cross (vwap_cross) — strongest bearish trigger #2 on a US mega-cap, showing the stock's OHLC candles, moving averages, signal-specific overlays, and the 20-day forward window VWAP Cross (vwap_cross) — strongest bearish trigger #3 on a US mega-cap, showing the stock's OHLC candles, moving averages, signal-specific overlays, and the 20-day forward window
Weakest outcomes (what VWAP_CROSS looks like when it fails)
VWAP Cross (vwap_cross) — weakest bearish trigger #1 on a US mega-cap, showing the 20-day forward window where the signal failed VWAP Cross (vwap_cross) — weakest bearish trigger #2 on a US mega-cap, showing the 20-day forward window where the signal failed VWAP Cross (vwap_cross) — weakest bearish trigger #3 on a US mega-cap, showing the 20-day forward window where the signal failed
Stock-regime quadrants (2×2 per-stock, 20d alpha detail table)
Each quadrant groups triggers by the stock's own ADX(14) and RV(20) at the trigger date — the textbook conditioning variable (not market-level). Stock %, bench %, alpha %, and HAC p-value shown for each benchmark.
Quadrant N Stock % (spx) Bench % (spx) Alpha % (spx) p (HAC) Stock % (msci) Bench % (msci) Alpha % (msci) p (HAC) Stock % (spxew) Bench % (spxew) Alpha % (spxew) p (HAC)
Trending + Low vol Clean directional grind, low whipsaw 23,374 +0.25% +0.59% -0.33% <0.001 +0.25% +0.39% -0.11% 0.0169 +0.25% +0.25% +0.02% 0.7385
Trending + High vol Crisis selloff or parabolic rally 97,477 +0.95% +1.11% -0.13% 0.0320 +0.95% +0.95% +0.07% 0.2143 +0.95% +0.92% +0.13% 0.0258
Non-trending + Low vol Quiet chop, summer doldrums 50,284 +0.25% +0.75% -0.47% <0.001 +0.25% +0.52% -0.23% <0.001 +0.25% +0.46% -0.16% <0.001
Non-trending + High vol Classical "whipsaw zone" for momentum 220,669 +1.05% +1.10% +0.00% 0.9150 +1.05% +1.01% +0.12% 0.0009 +1.05% +1.04% +0.11% 0.0030
Sub-period breakdown table (20d alpha)
Historical clustering check. If alpha concentrates in one era, the signal's robustness is questionable.
Period N Alpha % (spx) p (HAC) Alpha % (msci) p (HAC) Alpha % (spxew) p (HAC)
2015-2019 2015-01-01 → 2020-01-01 118,130 -0.19% <0.001 +0.00% 0.9516 +0.03% 0.3880
2020-2022 2020-01-01 → 2023-01-01 126,216 +0.18% 0.0003 +0.33% <0.001 -0.16% 0.0015
2023-2026 2023-01-01 → 2099-01-01 147,463 -0.34% <0.001 -0.20% <0.001 +0.26% <0.001

Methodology and caveats

How to read. Entry at open of T+1 (one trading day after the signal fires on close of T). 20d = open T+1 to close T+20. Alpha = stock return − benchmark return over the same window (Convention A, single-sided, textbook). For bullish triggers, POSITIVE alpha = signal was right. For bearish triggers, NEGATIVE alpha = signal was right (stock underperformed market). No sign-flipping; the direction of the bet determines what "good" looks like. Per-stock regime is each stock's own ADX(14) and RV(20) at the trigger date — not market-wide state.

Three p-values, three robustness tests. (a) p_naive: scipy one-sample t-test on winsorized alphas. Optimistic because overlapping 20d windows on the same ticker inflate effective N. (b) p_hac: Newey-West HAC with lag = horizon — corrects for the overlap and is the academic-finance standard. (c) p_perm: fraction of 200 random-date null iterations with mean ≥ observed. Tests whether the signal beats random date selection at all. A signal that clears all three (pnaive, phac, pperm all < 0.05) has real information; a signal that fails pperm has zero edge even if the t-test says "significant."

Caveats. (i) Universe reflects today's active tickers; delisted losers pruned → survivorship bias. (ii) Mcap ≥ $100M filter uses today's snapshot, not point-in-time — mild lookahead on which stocks enter the sample, not on returns. (iii) Means and p-values use winsorized alphas (1/99 percentile) to prevent data errors from dominating. Medians and hit rates use raw data. (iv) Zero transaction costs assumed. Realistic bid-ask + commissions remove 20–40bps from 20d alpha on US large-caps, more on small-cap. Sub-20bps alpha is noise in practice. (v) Past performance does not predict future results.

How to use this

1 · When to reach for this signal

Caution recommended. Bullish 20d alpha is -0.11% and worse than random — triggering on random dates would have produced better long-side returns. Either direction fails the "beats random" test. Don't use VWAP Cross as a standalone entry trigger. It may still be useful as part of a composite (section 4).

2 · When it works — the setups that drive it

  • Best bullish setup: Non-trending + High vol — alpha +0.07% / 20d on 227,867 historical triggers.
  • Best bearish setup: Non-trending + High vol — alpha +0.00% / 20d on 220,669 historical triggers.
  • Best era for bullish: 2020-2022 — alpha +0.22% / 20d.
  • Best era for bearish: 2020-2022 — alpha +0.18% / 20d.

3 · When it fails — common false positives

  • Weakest bullish cell: Non-trending + Low vol — alpha -0.35% / 20d on 49,299 triggers.
  • Weakest bearish cell: Non-trending + Low vol — alpha -0.47% / 20d on 50,284 triggers.
  • Worst era for bullish: 2023-2026 — alpha -0.27% / 20d.
  • Worst era for bearish: 2023-2026 — alpha -0.34% / 20d.

Signal-specific failure patterns

Bullish VWAP cross fails every horizon
Close crossing above VWAP bullish at α=−0.11 at 20d (p(HAC)<0.001, p_perm=1.000) and −0.38 at 60d. Most heavily traded intraday-retail indicator on the list — and it doesn't work. VWAP is a fair-execution benchmark, not a predictive signal; using its daily cross as an entry trigger is chasing late confirmations.
evidence: bullish vs SPX: 20d α=−0.11 p_perm=1.000; 60d α=−0.38 p_perm=1.000
Bearish delivers consistent short-side edge
Close crossing below VWAP bearish at α=−0.14 at 20d (p(HAC)<1e-7, p_perm=0.005), compounding to −0.33 at 60d (p<1e-6, p_perm=0.005). 392k triggers. Stocks crossing below VWAP for the day are reliably weaker than the market for the following 1-3 months.
evidence: bearish vs SPX: 20d α=−0.14 p_perm=0.005; 60d α=−0.33 p_perm=0.005
Both directions break during 2020-2022
Bullish 2015-2019 α=−0.23, 2020-2022 α=+0.22 (positive!), 2023-2026 α=−0.27. Bearish 2015-2019 α=−0.19, 2020-2022 α=+0.18 (wrong direction), 2023-2026 α=−0.34. The COVID-era breakdown is universal across these short-lookback signals. VWAP cross is especially exposed because it's a high-frequency intraday-positioning indicator — when positioning itself was chaotic, the signal went random.
evidence: 2020-2022 sub-period α positive for BOTH directions — signal inverted

4 · Pairing inside a screen

The statements below describe how this signal relates to others by construction — which indicator family it belongs to, and where same-family redundancy might reduce the independence of evidence inside a Daily Report. These are taxonomic classifications drawn from standard technical-analysis texts; they are not pairing backtests. A multi-signal convergence backtest is planned but not yet run.

No classical-TA family-redundancy claim applies to this signal. Pairing behaviour is a backtest question and has not been measured yet.

What would likely rescue this signal

This block calls out the data or conditions that could turn a technically weak signal into a usable one in a composite screen. Based on signal mechanics and the observed failure patterns above; individual combinations are not yet backtested.

  • Multi-day VWAP structure — Current implementation triggers on single-day cross. A 5-day sustained close above/below VWAP is structurally more meaningful. Parameter change, testable.
  • Pair with trend filter — Bearish VWAP cross below 50DMA = aligned breakdown. Above 50DMA = possible pullback in uptrend. Separating the two regimes would clarify which cells carry real alpha.

See also Why technical-only signals don't survive on their own for the broader argument.

5 · Before you act — a 5-point checklist

  1. Normal trading day? Rule out earnings (within ±3 days), ex-dividend, or known corporate-action dates — the signal is almost certainly reading noise, not momentum, in those windows.
  2. Where is price vs its own 50 / 200 DMA? A trend signal is only as credible as the underlying trend it claims to confirm. Check the 200DMA orientation before acting.
  3. What's the sector breadth doing? An isolated signal in a broadly down-trending sector is a lower-confidence setup than one firing with the rest of its peer group.
  4. Is ADV20 enough for your size? If the trigger is on a $500M name and you want to move $1M notional, you're the tape. Consider adv20d ≥ 5% of your intended position.
  5. What invalidates you? Define a price level (for longs: a close below the trigger-day low; for shorts: close above the trigger-day high) and honor it. The backtest alpha is an average; any one trade can be at either tail.

Execution notes

Bearish side tradable, bullish not. 60d alpha is 2.4x the 20d alpha for bearish — hold through. Entry open T+1. Understand that VWAP is intrinsically single-day; multi-day sustained closes above/below VWAP would be a different (possibly better) signal to build.